| Metric | SPY | MEMA |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 15.44% | 12.58% |
| CAGR﹪ | 17.79% | 14.47% |
| Sharpe | 1.07 | 0.5 |
| Prob. Sharpe Ratio | 84.05% | 67.85% |
| Smart Sharpe | 1.06 | 0.41 |
| Sortino | 1.58 | 0.7 |
| Smart Sortino | 1.58 | 0.57 |
| Sortino/√2 | 1.12 | 0.49 |
| Smart Sortino/√2 | 1.12 | 0.4 |
| Omega | 1.25 | 1.11 |
| Max Drawdown | -8.88% | -16.15% |
| Max DD Date | 2026-03-30 | 2026-10-30 |
| Max DD Period Start | 2026-01-28 | 2026-06-03 |
| Max DD Period End | 2026-04-13 | 2026-11-04 |
| Longest DD Days | 76 | 155 |
| Volatility (ann.) | 12.87% | 27.94% |
| R^2 | 0.55 | 0.55 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 2.0 | 0.9 |
| Skew | -0.01 | -0.35 |
| Kurtosis | 0.93 | 1.06 |
| Ulcer Performance Index | 7.02 | 1.92 |
| Risk-Adjusted Return | 17.79% | 14.47% |
| Risk-Return Ratio | 0.08 | 0.04 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.73% | 1.54% |
| Avg. Loss | -0.65% | -1.5% |
| Win/Loss Ratio | 1.12 | 1.03 |
| Profit Ratio | 1.1 | 0.94 |
| Expected Daily | 0.07% | 0.05% |
| Expected Monthly | 1.2% | 0.99% |
| Expected Yearly | 7.44% | 6.1% |
| Kelly Criterion | 8.39% | 5.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.26% | -2.83% |
| Expected Shortfall (cVaR) | -1.67% | -3.88% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 4 | 5 |
| Gain/Pain Ratio | 0.25 | 0.11 |
| Gain/Pain (1M) | 1.94 | 0.56 |
| Payoff Ratio | 1.12 | 1.03 |
| Profit Factor | 1.25 | 1.11 |
| Common Sense Ratio | 1.24 | 1.06 |
| CPC Index | 0.72 | 0.6 |
| Tail Ratio | 1.0 | 0.96 |
| Outlier Win Ratio | 2.82 | 3.1 |
| Outlier Loss Ratio | 3.11 | 3.53 |
| MTD | 1.47% | 1.79% |
| 3M | 1.46% | -4.83% |
| 6M | 6.94% | -8.53% |
| YTD | 13.33% | 9.36% |
| 1Y | 15.44% | 12.58% |
| 3Y (ann.) | 17.79% | 14.47% |
| 5Y (ann.) | 17.79% | 14.47% |
| 10Y (ann.) | 17.79% | 14.47% |
| All-time (ann.) | 17.79% | 14.47% |
| Best Day | 2.91% | 4.83% |
| Worst Day | -2.58% | -6.29% |
| Best Month | 10.51% | 13.96% |
| Worst Month | -4.94% | -10.86% |
| Best Year | 13.33% | 9.36% |
| Worst Year | 1.87% | 2.94% |
| Avg. Drawdown | -1.72% | -3.17% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 1.7 | 0.95 |
| Ulcer Index | 0.02 | 0.07 |
| Serenity Index | 0.96 | 0.29 |
| Avg. Up Month | 3.88% | 6.36% |
| Avg. Down Month | -1.8% | -5.59% |
| Win Days | 51.58% | 52.04% |
| Win Month | 58.33% | 58.33% |
| Win Quarter | 80.0% | 60.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 1.61 |
| Alpha | - | -0.1 |
| Correlation | - | 73.96% |
| Treynor Ratio | - | 7.83% |
| Year | SPY | MEMA | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 1.87 | 2.94 | 1.58 | + |
| 2026 | 13.33 | 9.36 | 0.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-06-03 | 2026-11-04 | -16.15 | 155 |
| 2026-02-26 | 2026-04-16 | -13.12 | 50 |
| 2026-05-12 | 2026-05-26 | -6.51 | 15 |
| 2026-01-29 | 2026-02-10 | -3.53 | 13 |
| 2026-04-20 | 2026-04-23 | -2.22 | 4 |
| 2026-01-16 | 2026-01-21 | -1.47 | 6 |
| 2026-04-27 | 2026-04-29 | -1.37 | 3 |
| 2026-02-23 | 2026-02-23 | -1.01 | 1 |
| 2026-05-28 | 2026-05-29 | -1.00 | 2 |
| 2026-05-07 | 2026-05-07 | -0.99 | 1 |